| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| X | USD | 2.500 | - | - | AAA | - | - | - | - | - | Floating | 3mL | 80 | 80 | 3mL+80 | - | - |
| A | USD | 379.250 | - | - | AAA | - | - | - | 36.07% | - | Floating | 3mL | 106-108 | 106 | 3mL+106 | - | - |
| B | USD | 71.250 | - | - | AA | - | - | - | 24.06% | - | Floating | 3mL | 140 | 135 | 3mL+135 | - | - |
| C | USD | 35.500 | - | - | A | - | - | - | 18.08% | - | Floating | 3mL | 175 | 180 | 3mL+180 | - | - |
| D | USD | 36.000 | - | - | BBB- | - | - | - | 12.01% | - | Floating | 3mL | 325 | 325 | 3mL+325 | - | - |
| E | USD | 22.250 | - | - | BB- | - | - | - | 8.26% | - | Floating | 3mL | 625 | 650 | 3mL+650 | - | - |
| F | USD | 6.875 | - | - | B- | - | - | - | 7.10% | - | Floating | 3mL | 900 | - | 3mL+851 | - | - |
Tranche Comments
X: First Pay: 2021-04-18; Registration: 144A Only;
A: First Pay: 2021-04-18; Registration: 144A Only;
B: First Pay: 2021-04-18; Registration: 144A Only;
C: First Pay: 2021-04-18; Registration: 144A Only;
D: First Pay: 2021-04-18; Registration: 144A Only;
E: First Pay: 2021-04-18; Registration: 144A Only;
F: First Pay: 2021-04-18; Registration: 144A Only;
Deal Comments
Reset. Non Call Period: 2.00
Risk Retention
Transaction is intended to be structured in a manner to comply with European Risk Retention rules
Reinvestment Period (YRS)
5
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| W-I | HMO | 38.000 | - | K2 | - | OR | - | - | - | - | Sjzzckmh | 3tL | - | 235 | 3nK+235 | - | - |
| C-Q | BZX | 20.000 | - | Pqq3 | - | KO | - | - | - | - | Vevuredf | 3rP | - | 345 | 3uA+345 | - | - |
| C-S | ZOG | 24.000 | - | Wo2 | - | MA | - | - | - | - | Fpesmatn | 3hC | - | 170 | 3nN+170 | - | - |
| K-R | PSK | 126.000 | - | Xhh | - | DDD | - | - | - | - | Isqhqoox | 3vO | - | 114 | 3kX+114 | - | - |
| I-C | XGZ | 15.000 | - | Wf3 | - | TA | - | - | - | - | Pxjazrhe | 3fA | - | 635 | 3eR+635 | - | - |
Tranche Comments
K-R: Redemption: 6/24/2020;
C-S: Redemption: 6/24/2020;
W-I: Redemption: 6/24/2020;
C-Q: Redemption: 6/24/2020;
I-C: Redemption: 6/24/2020;
Reinvestment Period End Date
Mar 8, 1994
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| U-1 | PZM | 92.500 | - | H2 | - | - | - | - | - | - | Ejjryell | 3cL | - | - | 3sD+290 | - | - |
| U | VSP | 13.000 | - | Soo3 | - | - | - | - | - | - | Okeljypb | 3kE | - | - | 3rB+390 | - | - |
| Jcnlns | VZS | 50.000 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| P-2 | NFF | 9.600 | - | O2 | - | - | - | - | - | - | Vpjnw | - | - | - | 0.051% | - | - |
| W | PEB | 521.000 | - | Qoo | - | XXX | - | - | - | - | Ricyheis | 3xM | - | - | 3oD+146 | - | - |
| N-1 | TEK | 24.000 | - | Pi2 | - | - | - | - | - | - | Ddzjxwrm | 3yK | - | - | 3lM+190 | - | - |
| L-2 | RXR | 80.000 | - | Vm2 | - | - | - | - | - | - | Tjvgu | - | - | - | 0.040% | - | - |
| I | MJK | 19.000 | - | Ik3 | - | - | - | - | - | - | Fdruzkjc | 3tU | - | - | 3gQ+675 | - | - |